fawce 817ed88e38 Adds dividends to performance tracking. ...

Algorithm returns and the risk calculations that depend on them now include
cash dividends. This commit does _not_ provide an API for user algorithms to
access dividends.

PerformanceTracker expects the dividend data to arrive as events, similar to
the way that Trades arrive. Dividends are expected to have adjusted payment
amounts that are inline with adjusted trades.

PerformanceTracker maintains state of all the unpaid dividends in the position
objects held in PerformancePeriod. Dividend objects contain all the relevant
dates (declared, ex, payment) as well as net and gross amounts. Dividends are
removed from the list as they are paid. Cash flow is not incremented until the
payment day. This creates the possibility of a dividend being owed but not
paid or realized before the end of a test. For example, a dividend with an
ex_date of today may have a pay date 2 weeks in the future. Right now the
algorithm does not receive any credit for unpaid dividends.

Tests cover buying/selling around the ex_date and payment_date, and checking
that the performance calculated is as expected.

2013-02-06 16:39:39 -05:00

..

finance

Fixed unittest2 import error on Python 2.7

2012-11-12 10:49:14 -05:00

__init__.py

Moved the test folder.

2012-05-09 13:34:13 -04:00

test_algorithm_gen.py

Adjusts start date of test algo gen to account for market dates.

2013-01-31 13:20:11 -05:00

test_algorithm.py

Adds the ability to record variables.

2013-01-31 08:16:54 -05:00

test_exception_handling.py

Fixed unittest2 import error on Python 2.7

2012-11-12 10:49:14 -05:00

test_finance.py

Exposes the list of trading days contained in a trading environment.

2013-01-01 13:01:49 -05:00

test_ndict.py

Saving point for adding license files.

2012-10-08 17:32:40 -04:00

test_perf_tracking.py

Adds dividends to performance tracking.

2013-02-06 16:39:39 -05:00

test_quarter_utils.py

Updates quarter utilities to fix offset.

2012-11-28 10:53:08 -05:00

test_risk_compare_batch_iterative.py

Date bookkeeping fixes in perf and risk

2012-12-12 15:23:26 -05:00

test_risk.py

Add the information ratio to risk metrics.

2013-01-31 18:25:36 -05:00

test_sources.py

Changes test sources to use unit test's assert instead of plain assert.

2013-01-06 17:11:38 -05:00

test_tradingcalendar.py

Fixes New Year's holidays inclusion in trading calendar.

2013-02-04 23:22:42 -05:00

test_transforms.py

Adds dividends to performance tracking.

2013-02-06 16:39:39 -05:00

test_utils.py

Fixed unittest2 import error on Python 2.7

2012-11-12 10:49:14 -05:00